Universität zu Köln

Krah, Anne-Sophie, Nikolic, Zoran and Korn, Ralf ORCID: 0000-0002-9123-3883 (2018). A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies. Risks, 6 (2). BASEL: MDPI. ISSN 2227-9091

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Abstract

The Solvency II directive asks insurance companies to derive their solvency capital requirement from the full loss distribution over the coming year. While this is in general computationally infeasible in the life insurance business, an application of the Least-Squares Monte Carlo (LSMC) method offers a possibility to overcome this computational challenge. We outline in detail the challenges a life insurer faces, the theoretical basis of the LSMC method and the necessary steps on the way to a reliable proxy modeling in the life insurance business. Further, we illustrate the advantages of the LSMC approach via presenting (slightly disguised) real-world applications.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Krah, Anne-Sophie UNSPECIFIED UNSPECIFIED UNSPECIFIED Nikolic, Zoran UNSPECIFIED UNSPECIFIED UNSPECIFIED Korn, Ralf UNSPECIFIED orcid.org/0000-0002-9123-3883 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-184120
DOI:	10.3390/risks6020062
Journal or Publication Title:	Risks
Volume:	6
Number:	2
Date:	2018
Publisher:	MDPI
Place of Publication:	BASEL
ISSN:	2227-9091
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language REGRESSION; VALUATION; OPTIONS Multiple languages Business, Finance Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/18412